There are powerful forces changing the quantitative communities around the world. These include heavy competition in asset management, a desperate need to stand-out in an overcrowded field and readily available datasets and coding libraries.
The concept of diversification is nothing new for investors. The adage “don’t put your eggs in one basket” simply states why diversification is vital. There are several potential benefits of a diversified multi-asset investment portfolio, and one of the most important is to reduce concentration risk.
U.S. money market funds amassed their highest level of assets since October 2009 as investors shift cash into low-risk products amid worries about a global economic slowdown and trade tensions, a...
Traditional, long only portfolios will naturally access risk premia through exposures to the equity risk premium and the bond term premium. Alternative Risk Premia strategies seek to harvest other types of risk premia, often utilising both long and short exposures. Wellington Management describes these strategies as falling into four broad categories - trend, carry, convergence, and…
Over the 15-year period ending March 31, 2019, the biggest 25% of active large-cap equity funds managed about 90% of all the assets under management (AUM) held in active large-cap equity funds. This may suggest that investors’ fund selections skew toward larger funds. But is bigger always better? This topic has been widely debated: although larger funds may be able to hire more skilled fund…
The steady buildup of environmental, social and governance (ESG) investing in the past few years can make even the most skeptical investors wonder if they’re missing out on an opportunity.
The European fund industry saw a return to positive flows throughout the first half of this year against a backdrop of a volatile but positive market environment.
We introduce a new proxy for measuring corporate bond liquidity, using the price of exchange-traded funds (ETFs) that hold corporate bonds. It measures the average liquidity across 900 corporate bonds every day, many more than other proxies used in previous Bank of Canada analysis. The new proxy nonetheless paints a very similar picture of liquidity conditions and confirms the previous…
Mutual funds, like dinosaurs, might be roaming the capital markets with their sheer size, but exchange-traded funds (ETFs) might be preparing their active fund counterparts for extinction.
Smart beta exchange-traded funds (ETFs) offer investors a different look as opposed to the run-of-the-mill passive index strategy and with the latest market volatility, investors may want to reconsider adding more value as opposed to growth in their portfolios. A market-capitalization-weighted index provides clients with exposure to a particular market based on security prices, without [...]
The…
SimCorp, a leading provider of investment management solutions and services to the global financial services industry, announces the recent recipients of its annual Thunderbird Awards, at the SimCorp North American User Summit (NAUS) 2019. Two of Canada’s biggest investment management... SimCorp
While some are moving away from speculative-grade debt with lower credit ratings in a heightened risk-off environment, income-minded investors can still look to targeted junk bond exchange traded fund strategies that steer toward high-yield debt with a little less credit risk. According to ICE BofAML data, the spread between the most speculative-grade triple-C rated bonds [...]
The post 3 Junk…
In an environment of falling interest rates, concerns over a global slowdown and rising risks in financial markets, the banking sector has been among the worst performers this year. Exchange traded fund investors, though, can look to a strategy that captures U.S. market exposure without the exposure of a weakening financial segment. Bank shares started [...]
The post A S&P 500 ETF Strategy…
As bond yields pulled back, income-minded investors can look to dividend exchange traded funds to generate some extra cash. For example, among the largest dividend-related ETFs on the market, the Vanguard Dividend Appreciation ETF (NYSEArca: VIG) has a 1.75% 12-month yield, Vanguard High Dividend Yield ETF (NYSEArca: VYM) has a 3.05% 12-month yield, SPDR S&P Dividend [...]
The post Investors…
Amid the trade war turmoil, reports surfaced that Chinese telecommunications equipment giant Huawei could potentially hinder the buildup of 5G infrastructure. U.S. President Donald Trump’s further actions on Huawei conducting business in the U.S. could pave the way for gains in exchange-traded funds (ETFs) that focus on 5G technology. China’s state media argued that banning Huawei…
While the volatility rain appears to have subsided for equities, cloudy skies may still hang around when it comes to oil prices. The trade war impasse between the U.S. and China could keep bullish traders away from bold, leveraged plays in exchange-traded funds (ETFs). “Casting another dark cloud over the outlook for U.S. crude shipments [...]
The post Are Cloudy Skies Ahead for Bullish Oil…
This is a summary of links featured on Quantocracy on Monday, 08/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers! Value and Momentum in a Cone [Two Centuries Investments] One of the most effective performance reporting formats I know is a Cone Chart, popularized by Bridgewater Associates. Here are some […]
The post Quantocracy’s Daily Wrap for 08/12/2019…
While the rest of the world is seeing yields dip into negative territory, U.S. corporate bond exchange traded funds could find support from foreign investors seeking more attractive yields in the U.S. Various estimates of sovereign debt in the no yield category put the total in excess of $15 trillion, with numbers quickly rising in [...]
The post 6 Attractive U.S. Corporate Bond ETFs appeared…